A Stock Screen Combining Price, Amplitude, and Turnover

Summary

The document describes a Chinese equity screen that selects shares with daily amplitude above one percent, a closing price of 18.5 yuan, and prior-day turnover above eight percent. It presents the conditions as a way to find volatile, actively traded stocks for short-term consideration, and shows example implementations in a screening formula and Python using market data. The results are sorted by transaction amount.

The source offers no backtest, performance evidence, or validation of the screening rationale. Its Python example appears internally inconsistent: it derives turnover from volume and total market value rather than a stated turnover-rate field, and later sorts on an amount value that is not added to the selected records. The document itself cautions that fixed technical filters omit fundamentals and may not adapt to changing market or stock conditions; it suggests considering fundamentals and industry trends alongside them.

Key ideas

• The screen requires amplitude above one percent, a closing price of 18.5 yuan, and prior-day turnover above eight percent.
• The stated purpose is to identify volatile, actively traded equities for short-term consideration.
• The examples show a screening formula and a Python implementation, but the latter has apparent data-field inconsistencies.
• The source provides no backtest evidence and warns that fixed filters may ignore fundamentals and changing conditions.
• It suggests adding fundamental and industry context to the screening process.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.